Search results

Well said drm7. I was a market maker and backed traders on the floor of the Cboe. We used methods to forecast volatility and would put traders in pits where the forecasts tended to be near or above what implied ran for particular stocks. Now, my firm, ORATS sells forecasts and volatility...

Thanks TheBigShort. My firm ORATS publishes free content on the Option Insider and our twitter @optionrats. Here's today's tweet. Our data API has historical earnings moves going back to 2007. Here's a link to some of the data headers. If you are not a programmer, you can download an Excel sheet...

Our new Optimize Backtest feature can help you find the best way to trade an options strategy. Look at thousands of strategy permutations and identify the best for your objectives. The Optimizer returns a table of backtests that is sortable and filterable. Quickly identify the best...

Here's how to use the level of VIX, or any symbol's price, to drive trading in a backtest by using Entry and Exit Triggers. My firm, ORATS, has an options backtester that will help you create and maintain a systematic rules-based options strategy with returns in line with your investment...

Baozi Thanks for the additional color. One way to see if wings are overpriced is to look historically. Using a slope and derivative can identify which wing, the OTM puts or calls might be overpriced. Then what we do is show the skew in terms of volatility buckets. Tracking areas of the...

James Yes, we calibrate the strike skew with a slope and derivative. We also have an approach for wings, < 15 delta but that is more nuanced. I put up a blog for this answer too: https://blog.orats.com/modeling-the-implied-volatility-surface-skewness-and-kurtosis This approach to the strike...

Hi Baozi I just put up a blog for you explaining an approach https://blog.orats.com/modeling-the-implied-volatility-surface-term-structure-with-incomplete-options-market-data First, a good at-the-money (ATM) IV needs to be determined for each expiration. Second, any earnings effects needs to be...

I see that after hours it is way down, trading 0.10 down 72%, nice put buy. You don't say which put you bought but it doesn't matter that much because the lowest strike I see is the .5 so any put will be way in the money. The most you can make is only .10 more. You have to weigh the possible...